WO2005050396A3 - Method and system for artificial neural networks to predict price movements in the financial markets - Google Patents

Method and system for artificial neural networks to predict price movements in the financial markets Download PDF

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Publication number
WO2005050396A3
WO2005050396A3 PCT/US2004/038568 US2004038568W WO2005050396A3 WO 2005050396 A3 WO2005050396 A3 WO 2005050396A3 US 2004038568 W US2004038568 W US 2004038568W WO 2005050396 A3 WO2005050396 A3 WO 2005050396A3
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WO
WIPO (PCT)
Prior art keywords
neural networks
artificial neural
market
systems
methods
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Application number
PCT/US2004/038568
Other languages
French (fr)
Other versions
WO2005050396A2 (en
Inventor
Terry L Benzschawel
Chi Dzeng
Gregory A Berman
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Citigroup Global Markets Inc
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Publication date
Application filed by Citigroup Global Markets Inc filed Critical Citigroup Global Markets Inc
Publication of WO2005050396A2 publication Critical patent/WO2005050396A2/en
Publication of WO2005050396A3 publication Critical patent/WO2005050396A3/en

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    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06N—COMPUTING ARRANGEMENTS BASED ON SPECIFIC COMPUTATIONAL MODELS
    • G06N3/00—Computing arrangements based on biological models
    • G06N3/02—Neural networks
    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/04—Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange
    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/06—Asset management; Financial planning or analysis

Abstract

The present invention relates to methods and systems for devising and implementing automated artificial neural networks to predict market performance and direction movements of the U.S. Treasury market, mortgage option-adjusted spreads (OAS), interest rate swap spreads, and U.S. Dollar/Mexican Peso exchange rate. The methods and systems of the present invention employ techniques used in actual neural networks naturally occurring in biological organisms to develop artificial neural network models for predicting movements in the financial market that are capable of extracting in a very consistent fashion non-linear relationships among input variables of the models that are readily apparent to the human traders.
PCT/US2004/038568 2003-11-18 2004-11-18 Method and system for artificial neural networks to predict price movements in the financial markets WO2005050396A2 (en)

Applications Claiming Priority (2)

Application Number Priority Date Filing Date Title
US52065903P 2003-11-18 2003-11-18
US60/520,659 2003-11-18

Publications (2)

Publication Number Publication Date
WO2005050396A2 WO2005050396A2 (en) 2005-06-02
WO2005050396A3 true WO2005050396A3 (en) 2005-11-24

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Family Applications (1)

Application Number Title Priority Date Filing Date
PCT/US2004/038568 WO2005050396A2 (en) 2003-11-18 2004-11-18 Method and system for artificial neural networks to predict price movements in the financial markets

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US (1) US7529703B2 (en)
WO (1) WO2005050396A2 (en)

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US7529703B2 (en) 2009-05-05
WO2005050396A2 (en) 2005-06-02

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